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CONFERENCE ANNOUNCEMENT
Scottish Institute for Research in Investment and Finance
(SIRIF)
"THE STATE OF THE ART OF VALUE AT RISK"
Friday 22nd September 2000 10.00 am to 5.30 pm
Followed by Reception
Wolfson Theatre, Royal Society of Edinburgh,
22-26 George Street, Edinburgh
CONFERENCE THEME:
Value at Risk is a standard measure for quantification of
market risk. It is implemented by financial institutions as
part of their internal modelling to measure and control
market risks and to compute their regulatory capital as
allowed by banking regulators. The concept is also applied
to deal with other risks like credit risk and operational
risk. The objective of the conference is to present the
state of the art on Value at Risk both from a conceptual as
well as a practical perspective.
The Conference Chair is Professor Francois Longin of Groupe
ESSEC (Paris) and Credit Commercial de France. The appended
conference program has been put together by him and
Professor Pradeep Yadav, Director of SIRIF.
ABOUT SIRIF:
SIRIF is a non-profit joint initiative of a few Scottish
Universities and the Scottish Higher Education Funding
Council launched last year as a Centre for research
excellence in investment and finance at the interface
between academia and industry. Inter-alia, SIRIF organizes
seminars and conferences that brain-storm leading edge
relevant academic research and related industry practice on
issues of topical interest. SIRIF's activities are funded
largely from sponsorship support of various organizations
and corporations through becoming Corporate Associates and
Corporate Sponsors. The level of SIRIF's sponsorship support
enables SIRIF to host events without passing on the full
cost to participants.
REGISTRATION:
SIRIF invites academics, regulators and practitioners to
register for the conference. There is no conference fee for
academics. Registration will be on a first-come-first-served
basis. The registration form can be downloaded from the
SIRIF web-site:
Web: http://www.sirif.org.uk
and e-mailed or faxed to:
CONTACT: Donald Campbell
Email: MAILTO:[log in to unmask]
Fax: +44-141-5484965.
CONFERENCE PROGRAMME
Beyond the VaR
Nicolas Gaussel, Francois Longin, Jerome Legras and Roger
Rabemananjara (Credit Commercial de France)
CAViaR: Conditional Value-at-Risk by Regression Quantiles
Robert F Engle and Simone Manganelli (University of
California, San Diego)
Conditional & Unconditional Risk Management for European
Stock Index Futures
John Cotter, University College, Dublin
Performance Evaluation of Alternative VaR Models
Mandira Sarma, Susan Thomas and Ajay Shah, Indira Gandhi
Institute of Development Research, Mumbai
Risk and Reward Among Professional Day Traders
Peter Locke, US Commodity Futures Trading Commission, and
Steve Mann, Texas Christian University
Stable Modelling of Value at Risk
Irina Khindanova, University of California, Santa Barbara,
Svetlozar Rachev, University of Karlsruhe, and Eduardo
Schwartz, University of California, Los Angeles
Value at Risk and Market Crashes
Chris Brooks and Gita Persand, ISMA Centre, University of
Reading
Value at Risk Incorporating Dynamic Portfolio Management
Stephen Lawrence, Carrol School of Management, Boston
College
Variance Reduction Techniques for Monte Carlo Estimates of
Value at Risk
Brian Fuglsbjerg, SimCorp A/S, Denmark
Worst Fluctuation Methods for Fast Value-at-Risk Estimates
Jean-Philippe Bouchard and Marc Potters, Science &
Finance, France
--
_____________________________________________________
Dr. Giulia Iori
(Lecturer in Mathematical Finance)
Department of Mathematics
King's College, London
Strand, London WC2R 2LS
Telephone: (44) 020 7848-
Fax: (44) 020 7848-2017
Email: [log in to unmask]
URL: //pc173.mth.kcl.ac.uk/~giulia
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